Portfolio optimization based on GARCH-EVT-Copula forecasting models

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-$t$ and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student-$t$ copulas, are best at reducing the portfolio risk.     

??ber Terroristen und Spitzensportler

Islamophobia is more strongly developed in East Germany compared to the western part of the country. Given the lack of personal contact with Muslims in East Germany, islamophobia is probably strongly influenced by media coverage. For this reason, the coverage of two East German regional newspapers, Nordkurier and Volksstimme, is analyzed against the theoretical background of a conjunction of the social-psychological stereotype content model with the communication-scientific concept of framing. Using content analysis and latent class analysis, two so-called stereotype frames were identified. Two thirds of all Islam-related articles use the ??cold and harm frame??. Here, Muslims are often blamed for the lethal consequences of terrorist action, their behaviour is evaluated as cold or immoral, and military interventions against them are discussed. On the other hand, one third of all Islam-related articles belongs to the ??competence and cooperation frame??. Competence is ascribed to Muslims as their success in artistic, athletic or political activities is recognized and other actors?? interest in cooperation in these areas is emphasized. Whereas the ??cold and harm frame?? probably promotes medial segregation, the ??competence and cooperation frame?? is representing an assimilative model of media integration.     

Governance modes for offshoring activities: A comparison of US and German firms

A new field of research centered on the offshoring of white-collar tasks is opening. We analyze the choice of governance mode for international offshoring activities based on a four-fold framework that integrates multiple theoretical perspectives. Firms choose between an internal or external mode based on their institutional environment, the offshoring behavior of similar firms in their reference group, firm-specific characteristics and objectives, and the particular setting of specific implementations. We test our relationships using detailed data on offshoring activities of US and German firms. Based on the outcomes we conclude that each dimension of the chosen framework is needed to explain the governance mode decisions of firms and this overarching framework may also be applicable to other topics in internationalization research.     

Are Occupations Paid What They are Worth? An Econometric Study of Occupational Wage Inequality and Productivity

Labour economists typically assume that pay differences between occupations can be explained with variations in productivity. The empirical evidence on the validity of this assumption is surprisingly thin and subject to various potential biases. The authors use matched employer-employee panel data from Belgium for the years 1999–2006 to examine occupational productivity-wage gaps. They find that occupations play distinct roles for remuneration and productivity: while the estimations indicate a significant upward-sloping occupational wage-profile, the hypothesis of a flat productivity-profile cannot be rejected. The corresponding pattern of over- and underpayment stands up to a series of robustness tests.     

Auf der faulen Haut liegen

So motivieren Sie Low Performer - Faule Kollegen – neudeutsch Low Performer – gibt es in der Arbeitswelt überall. Auch in der Pflege sind sie keine Seltenheit und wirken sich oftmals negativ auf das Betriebsklima aus. Abhilfe schafft ein individuelles Leistungsmanagement.     

Reden ist Silber

Umgang mit der Schweigepflicht - Das Spannungsfeld zwischen pflegerisch notwendigem Informationsaustausch und dem Recht des Betroffenen auf Schutz seiner Privatsph?re ist ein stets aktuelles Thema. Pflegekr?fte haben gesetzliche und arbeitsvertragliche Schweigepflichten zu beachten. Gleichzeitig bestehen Meldepflichten, beispielsweise für Infektionskrankheiten. Besonders brisant ist die Frage, ob Krankenkassen zur Vorbereitung von Schadensersatzprozessen Einsicht in Pflegeunterlagen zu gew?hren ist.     

DO PERCEPTIONS BECOME REALITY? THE MODERATING ROLE OF SUPPLY CHAIN RESILIENCY ON DISRUPTION OCCURRENCE

The concern and study of supply risk and supply continuity has recently come to the forefront in managing business and conducting research. This empirical study of U.S. and German firms investigates the relationship between perceived supply risk sources and supply disruption occurrence, as well as the use of supply chain resiliency practices to reduce disruption frequency. We demonstrate that supply managers' concerns with risk emanating from suppliers and the supply market are positively related to supply disruption occurrence. We further show how and when implementing flexibility and redundancy may reduce the effects of supply disruptions.     

Measuring the Implementation of Codes of Conduct. An Assessment Method Based on a Process Approach of the Responsible Organisation

More and more organisations formulate a code of conduct in order to stimulate responsible behaviour among their members. Much time and energy is usually spent fixing the content of the code but many organisations get stuck in the challenge of implementing and maintaining the code. The code then turns into nothing else than the notorious "paper in the drawer", without achieving its aims. The challenge of implementation is to utilize the dynamics which have emerged from the formulation of the code. This will support a continuous process of reflection on the central values and standards contained in the code. This paper presents an assessment method, based on the EFQM model, which intends to support this implementation process.